The Empirical Research On The Hedging Ratio Of CSI300Index Futures Based On Copula-Threshold-GARCH Model

A stock index future was born in the United States in the1980which is a product of a highly developed capital markets. It is a variety of the effective financial futures to avoid the risk of price volatility of the stock market system.The data show that China’s stock market system54.74%of the total risk of the risk, it is much higher than the average level of developed countries, such as the system risk ratio of the U.S. stock market is25%. There’s an urgent need for a tool able to hedge the risk in the Chinese stock market. China’s Shanghai and Shenzhen300stock index futures formal trading on April16,2010. It has a high leverage effect, is an ideal tool to speculation. For now, the main participants of the stock index futures, commodity futures personal investors. It is necessary to conduct a study on stock index futures trading strategy, in particular, how to effectively use stock index futures to hedge the stocks on the spot.Foreign researchers for the study of the optimal hedge ratio of stock index futures have reached a fairly high level of theory, and researchers continuously innovative research methods. Comparatively speaking, our researchers for research in the field are still in the exploratory stage. From OLS, VAR and VECM static model to a dynamic model of the GARCH model and MRS, our research has made a lot of achievements in the field of stock index futures.This article uses the CSI300stock index as the research object, introduced of two threshold GARCH models, while capturing asymmetric nonlinear behavior of the stock returns of spot and futures markets and the relationship between them, used of the two oval Copula function and three Archimedean Copula function, constructing a bivariate Copula-Threshold-GARCH model, researched CSI300index futures hedge ratio and hedging effects. In contrast to the traditional static OLS model and dynamic VEC model hedge ratio analysis of hedging efficiency.The main conclusions in this paper are as follows:(1) The trend of China’s CSI300index futures return series is same as stock return series. There is a high degree of continued dependence between index futures return series and stock return series.(2) China’s Shanghai and Shenzhen300stock index futures and stock return series has fat tail characteristics(3) While facing market shocks, the reaction to the negative impact of CSI300stock index future than positive impact.(4) The Copula-Threshold-GARCH model under the hedging effect overall better than the OLS model and the DCC model,.This article is still having deficiencies of the following aspects:(1) This article only select a futures contract research results will be one-sided.(2) This article did not consider the cost of trading stock index futures hedging.(3) This article did not take into account a greater variety of financial derivatives.The innovations of this paper include the following aspects:(1) Selected Copula function to define nonlinear correlation between the random variables used five different Copula function models.(2)Used Threshold-GARCH model to describe the characteristics of the volatility of the stock index futures time series, which make positive impact and negative impact on the market can be considered separately.